Momentum · month-end rule · Metals & mining
12-1 Momentum on Lundin Gold
What the play says
Latest reading: 12-1 return 20.9%
LUG with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LUG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.4% | +13.4% | +59.2% | +62.7% |
| Total return | +598% | +1,403% | +913% | +1,026% |
| Worst drawdown | −94.0% | −94.7% | −37.9% | −37.9% |
| Volatility | 45.9% | 65.5% | 40.8% | 47.1% |
| Sharpe ratio | 0.39 | 0.49 | 1.25 | 1.19 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 14 of 32 closed calls (44%). In calls averaged +7.8%; out calls saw LUG move +6.8% on average.
| Called | Call | Price | Until | LUG moved | Result |
|---|---|---|---|---|---|
| Dec 30, 2022 | IN | C$10.57 | now | +805.5% | open |
| Apr 29, 2022 | OUT | C$8.04 | Dec 30, 2022 | +31.5% | ✕ wrong |
| Mar 31, 2022 | IN | C$8.12 | Apr 29, 2022 | −1.0% | ✕ wrong |
| Feb 28, 2022 | OUT | C$7.94 | Mar 31, 2022 | +2.3% | ✕ wrong |
| Jan 31, 2022 | IN | C$7.15 | Feb 28, 2022 | +11.1% | ✓ right |
| Sep 30, 2021 | OUT | C$7.36 | Jan 31, 2022 | −2.9% | ✓ right |
| Aug 31, 2021 | IN | C$8.92 | Sep 30, 2021 | −17.5% | ✕ wrong |
| Apr 30, 2021 | OUT | C$9.26 | Aug 31, 2021 | −3.7% | ✓ right |
| Mar 31, 2021 | IN | C$7.64 | Apr 30, 2021 | +21.1% | ✓ right |
| Feb 26, 2021 | OUT | C$7.97 | Mar 31, 2021 | −4.1% | ✓ right |
| Feb 28, 2019 | IN | C$4.27 | Feb 26, 2021 | +86.5% | ✓ right |
| Jan 31, 2019 | OUT | C$4.13 | Feb 28, 2019 | +3.4% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 33 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.